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本文把流动性风险、偏态风险引进传统CAPM模型中,推导出基于流动性的三阶矩资本资产定价的理论模型。本文的模型表明,证券(组合)的收益依赖于它的期望流动性成本、其流动性成本和市场流动性成本的协方差以及其收益和市场收益的协方差与协偏态。本文采用我国A股市场的股票收益数据对模型进行了实证检验.检验结果表明,我国A股市场的证券(组合)的风险溢价在大盘升降区间体现了不同的特征,无论是在全样本区间还是两个子样本区间,基于流动性的三阶矩资本资产定价模型都能更好的拟合资产收益,说明了流动性和偏态因素在我国A股市场的资产定价中有重要影响。
In this paper, the liquidity risk and skew risk are introduced into the traditional CAPM model, and the theoretical model of third-moment capital asset pricing based on liquidity is deduced. The model in this paper shows that the return of securities (portfolio) depends on its expected liquidity cost, the covariance of its liquidity cost and market liquidity cost, and the covariance and co-bias of its return and market return. This paper uses the stock return data of A-share market in our country to test the model.Experimental results show that the risk premium of the securities (portfolio) in China’s A-share market reflects different characteristics in the broader market, whether in the whole sample interval or The two sub-sample intervals and the third-moment capital asset pricing model based on liquidity can all better fit the return on assets, which shows that liquidity and bias factors have an important influence on the asset pricing of A-share market in China.